ARCH and GARCH Models
Discussions of ARCH, GARCH, and related models
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- RATS 8.2: Free Trial Version
by moderator » Tue Sep 25, 2012 5:10 pm - 0 Replies
- 2357 Views
- Last post by moderator
Wed Mar 27, 2013 12:39 pm
- RATS 8.2: Free Trial Version
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- Marginal effects in the BEKK model
by avalokita » Wed May 08, 2013 7:57 pm - 4 Replies
- 72 Views
- Last post by TomDoan
Mon May 13, 2013 12:45 pm
- Marginal effects in the BEKK model
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- Bi-variate BEKK, contagion effect dummy
by jongrim » Sat May 11, 2013 11:19 am - 1 Replies
- 30 Views
- Last post by TomDoan
Sat May 11, 2013 6:06 pm
- Bi-variate BEKK, contagion effect dummy
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- VAR-GARCH-M
1 ... 5, 6, 7by economics2012 » Fri Jan 20, 2012 3:47 pm - 95 Replies
- 5889 Views
- Last post by TomDoan
Tue May 07, 2013 6:48 pm
- VAR-GARCH-M
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- Panel Garch: coding general mean and conditional varian
by trish » Fri Apr 06, 2012 3:41 am - 11 Replies
- 437 Views
- Last post by TomDoan
Mon May 06, 2013 8:45 pm
- Panel Garch: coding general mean and conditional varian
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- variance-covariance matrix
by fadimohamed » Sat May 04, 2013 7:21 am - 3 Replies
- 41 Views
- Last post by TomDoan
Mon May 06, 2013 11:32 am
- variance-covariance matrix
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- No Usable Data Points
by mike523 » Mon Apr 08, 2013 8:17 am - 8 Replies
- 178 Views
- Last post by TomDoan
Fri Apr 19, 2013 9:33 am
- No Usable Data Points
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- series correlation can't be solved
by huanpipt » Thu Feb 23, 2012 3:53 am
- 12 Replies
- 497 Views
- Last post by ibrahim
Sun Apr 07, 2013 3:46 pm
- series correlation can't be solved
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- How to check global and local maximum?
by yli725 » Thu Mar 28, 2013 1:15 pm - 1 Replies
- 65 Views
- Last post by TomDoan
Fri Mar 29, 2013 2:52 pm
- How to check global and local maximum?
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- MV-EGARCH with spillovers
1, 2 by TomDoan » Thu Dec 31, 2009 5:08 pm
- 23 Replies
- 4574 Views
- Last post by TomDoan
Wed Mar 27, 2013 12:25 pm
- MV-EGARCH with spillovers
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- Multivariate Ljung-Box tests
by yli725 » Tue Mar 19, 2013 12:36 pm - 4 Replies
- 177 Views
- Last post by yli725
Thu Mar 21, 2013 1:49 pm
- Multivariate Ljung-Box tests
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- Initial value for mvgarch model
by yli725 » Tue Mar 19, 2013 10:30 pm - 1 Replies
- 90 Views
- Last post by TomDoan
Wed Mar 20, 2013 12:15 pm
- Initial value for mvgarch model
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- ECM-GARCH model estimation
by xin_zh » Tue Feb 26, 2013 4:21 pm
- 3 Replies
- 272 Views
- Last post by xin_zh
Fri Mar 15, 2013 11:35 pm
- ECM-GARCH model estimation
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- bivariate GARCH-X
by fadimohamed » Thu Jan 24, 2013 10:05 am - 7 Replies
- 459 Views
- Last post by TomDoan
Sun Jan 27, 2013 7:13 pm
- bivariate GARCH-X
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- Bootstrpped Data Series
by msrahman » Fri Nov 30, 2012 5:51 pm - 0 Replies
- 287 Views
- Last post by msrahman
Fri Nov 30, 2012 5:51 pm
- Bootstrpped Data Series
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- dynamic equicorrelation
by Anja » Fri Sep 11, 2009 5:23 pm
- 7 Replies
- 1242 Views
- Last post by TomDoan
Thu Nov 29, 2012 10:24 am
- dynamic equicorrelation
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- testing for the I in IGARCH
by uli » Wed Oct 31, 2012 10:08 am - 1 Replies
- 300 Views
- Last post by TomDoan
Thu Nov 01, 2012 8:41 pm
- testing for the I in IGARCH
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- SVAR with GARCH Errors
by terrya » Tue Oct 30, 2012 4:57 pm
- 3 Replies
- 314 Views
- Last post by terrya
Thu Nov 01, 2012 2:44 pm
- SVAR with GARCH Errors
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- Restricted MV-GARCH
1, 2 by FaeK » Tue Jun 26, 2012 12:02 pm
- 19 Replies
- 2480 Views
- Last post by FaeK
Wed Oct 31, 2012 8:47 pm
- Restricted MV-GARCH
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- VAR(2) BEKK MGARCH t=3
by amcqeen » Tue Oct 23, 2012 10:56 pm - 4 Replies
- 361 Views
- Last post by amcqeen
Wed Oct 24, 2012 9:07 am
- VAR(2) BEKK MGARCH t=3
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- Quatro-variate BEKK MGARCH with VAR(2) for the mean equation
by amcqeen » Wed Oct 17, 2012 2:02 am - 2 Replies
- 271 Views
- Last post by amcqeen
Wed Oct 17, 2012 5:54 am
- Quatro-variate BEKK MGARCH with VAR(2) for the mean equation
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- Convergence issues EGARCH Model
by lsal0106 » Sun Oct 07, 2012 10:43 pm
- 8 Replies
- 560 Views
- Last post by lsal0106
Wed Oct 10, 2012 7:37 pm
- Convergence issues EGARCH Model
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- The validity of significance tests for BEKK models?
by avalokita » Wed Oct 03, 2012 9:42 am - 1 Replies
- 483 Views
- Last post by TomDoan
Wed Oct 03, 2012 11:27 am
- The validity of significance tests for BEKK models?
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- graph residual from DCC GARCH
by lumengobobo46 » Thu Sep 27, 2012 5:02 pm - 1 Replies
- 331 Views
- Last post by TomDoan
Thu Sep 27, 2012 5:55 pm
- graph residual from DCC GARCH
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- Dummy variable for GJR Garch (1,1) and GARCH-M (1,1)
by GaryM26 » Fri Sep 14, 2012 3:44 pm - 2 Replies
- 443 Views
- Last post by GaryM26
Mon Sep 17, 2012 4:02 am
- Dummy variable for GJR Garch (1,1) and GARCH-M (1,1)
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